I tried to import a camera from an external .blend file via "link" and "append" but in both cases, nothing happens.
So how do I import a camera with all its settings into another blend file?
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You should append the camera from the Object Data-Block, not the Camera Data-Block.
Shift+F1 to append, select the .blend file and go to the Object Data-Block folder and select the camera. Then hit Append from Library.
When you append from the Camera Data-Block, you are appending the Camera's settings, like the Focal Distance, Axis Shit, perspective type clipping etc, but not the camera object itself.
When you append from the Object Data-Block itself, you'll be appending the camera itself (the visible object in the 3D View), including it's settings.